BİST Ulusal 100 Endeksinde Aşırı Tepki Hipotezinin İncelenmesi

Abstract

In this study, validity of Overreaction Hypothesis in ISE 100 index was analyzed. The returns of the stocks which are traded continuously in ISE 100 index were figured out both monthly and trimester between the years of 2003-2018, winner portfolios and loser portfolios were formed annually and biennial by using the cumulative abnormal returns of the stocks, after that next test period performances of these portfolios were examied. Besides these analyses, a portfolio was formed with 54 stocks traded in ISE 100 index, data of which procured completely between the years of 2002-2016; the findings supporting the validity of Overreaction Hypothesis in ISE 100 index were researched by interaction between the average abnormal returns and the average market to book value ratios of the portfolio in trimesters. As a result of these analyses, the findigs that are supporting the validity of Overreaction Hypothesis in ISE 100 index were obtained.